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Growth of strategy sets, entropy and nonstationary bounded recall

Neyman, Abraham; Okada, Daijiro - 2005

This paper initiates the study of long term interactions where players' bounded rationality varies over time. Time dependent bounded rationality is reflected in part in the number $\psi(t)$ of distinct strategies in the first $t$-stages. We examine how the growth rate of $\psi_i(t)$ affects...

Persistent link: https://www.econbiz.de/10010266360

Using transfer entropy to measure information flows between financial markets

Dimpfl, Thomas; Peter, Franziska J. - 2012

We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap … procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of …

Persistent link: https://www.econbiz.de/10010318778

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011538004

An information-theoretical analysis of budget-constrained nonpoint source pollution control

Kaplan, Jonathan D.; Howitt, Richard E.; Farzin, Y. Hossein - 2001

learning. To overcome the inherent ill-posed statistical problem in NPS pollution data the sequential entropy filter is applied …

Persistent link: https://www.econbiz.de/10011608793

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …

Persistent link: https://www.econbiz.de/10010326508

An entropy-based metric for product remanufacturability

Ramoni, Monsuru O.; Zhang, Hong-chao - In: Journal of Remanufacturing 2 (2012), pp. 1-8

metric is based on entropy, a phenomenon well known in engineering. …

Persistent link: https://www.econbiz.de/10010500505

Lundan, Sarianna M. - 2009

In an integrated global economy, multinational enterprises (MNEs) have more opportunities than ever to reap the benefits of broader markets and more possibilities for an extensive division of labour between different locations. In spite of this, the evidence on the spread of the activities of...

Persistent link: https://www.econbiz.de/10010273008

Zur ökonomischen Dimension von Nachhaltigkeit und Entropiewirtschaft im Energiesektor

Weisheimer, Martin - 2000

Persistent link: https://www.econbiz.de/10010316366

The Cross-Entropy Method With Patching For Rare-Event Simulation Of Large Markov Chains

Kaynar, Bahar; Ridder, Ad - 2009

which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …

Persistent link: https://www.econbiz.de/10010325747

Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques

Ridder, Ad; Tuffin, Bruno - 2012

In rare event simulation, we look for estimators such that the relative accuracy of the output is ''controlled'' when the rarity is getting more and more critical. Different robustness properties have been defined in the literature, that an estimator is expected to satisfy. Though, those...

Persistent link: https://www.econbiz.de/10010326256